Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0049 |
| Annualized Std Dev | 0.2992 |
| Annualized Sharpe (Rf=0%) | -0.0163 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4566.0000 |
| NAs | 1.0000 |
| Minimum | -0.3363 |
| Quartile 1 | -0.0041 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0051 |
| Maximum | 0.5777 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0004 |
| Stdev | 0.0188 |
| Skewness | 5.3292 |
| Kurtosis | 240.2485 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0125 |
| Gain Deviation | 0.0179 |
| Loss Deviation | 0.0162 |
| Downside Deviation (MAR=210%) | 0.0164 |
| Downside Deviation (Rf=0%) | 0.0125 |
| Downside Deviation (0%) | 0.0125 |
| Maximum Drawdown | 0.8452 |
| Historical VaR (95%) | -0.0170 |
| Historical ES (95%) | -0.0392 |
| Modified VaR (95%) | NA |
| Modified ES (95%) | -0.0018 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2004-03-30 | 2008-10-10 | NA | -0.8452 | 4274 | 1143 | NA |
| 2003-07-08 | 2003-07-29 | 2003-10-01 | -0.0491 | 61 | 16 | 45 |
| 2004-02-18 | 2004-02-24 | 2004-03-10 | -0.0367 | 16 | 5 | 11 |
| 2003-02-11 | 2003-03-24 | 2003-05-30 | -0.0334 | 76 | 29 | 47 |
| 2003-12-09 | 2003-12-09 | 2003-12-24 | -0.0279 | 12 | 1 | 11 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2003 | 0.2 | -0.1 | 0.2 | 0.2 | 0.6 | 0.1 | 0 | 0.2 | 0.8 | -0.4 | -0.3 | 0 | 1.4 |
| 2004 | -0.1 | 0.4 | -0.5 | 0.8 | 1 | 0.6 | 0 | 0.2 | -0.1 | 0 | -0.4 | 1 | 2.8 |
| 2005 | 0.7 | 0.4 | -0.6 | 0.7 | 0.8 | -0.3 | -0.4 | -1.4 | 0.2 | 1 | -0.1 | -0.4 | 0.5 |
| 2006 | 0.8 | 1 | -0.7 | -0.7 | -0.1 | 0.9 | 0 | 1.5 | 0.1 | 1 | 0.2 | -0.4 | 3.7 |
| 2007 | 0.3 | 0.2 | -0.1 | 0.3 | 0.8 | 0.6 | -0.8 | 1 | 1.5 | -1 | 3.1 | 0.7 | 6.8 |
| 2008 | 0.2 | -1.1 | 1.5 | 2.6 | 0.5 | -0.4 | 1.7 | -0.1 | 2 | 3.6 | -11.9 | 5.6 | 3.1 |
| 2009 | -0.7 | -3.5 | 3.6 | -1 | 5.9 | 1.5 | 0.8 | -0.7 | -0.5 | -3.4 | 2.5 | 0.7 | 4.9 |
| 2010 | 0.8 | 1.4 | 1 | -0.1 | -0.9 | -3.1 | 0.9 | 0.9 | 0.5 | -0.6 | -0.4 | 0 | 0.4 |
| 2011 | 0.4 | -0.2 | 0.1 | 0.3 | -1.5 | 0.3 | 2.2 | -1 | -4.6 | -0.2 | -0.2 | 0 | -4.4 |
| 2012 | -0.3 | -0.4 | -0.5 | 0.5 | -1.3 | 0.9 | 0.3 | 0.4 | 0.7 | 1.5 | 0.3 | 2.7 | 4.8 |
| 2013 | -1.5 | 0.1 | -0.8 | -0.9 | -3.3 | -0.6 | -1.1 | -0.5 | 0.2 | 0.2 | 0.1 | -0.2 | -8.1 |
| 2014 | 0.1 | -0.7 | 0.7 | 0.2 | 0 | 0.8 | -0.3 | 0.6 | 0.6 | 0.8 | -0.1 | -4.1 | -1.6 |
| 2015 | -0.5 | 0.2 | 0.2 | 0 | -0.2 | 2.3 | 0.1 | 0.8 | -0.7 | 1.1 | -0.5 | -0.6 | 2.1 |
| 2016 | 0.2 | 0.3 | -0.4 | -0.4 | 0.8 | 0.2 | 0.3 | 0 | 0.6 | -1.1 | -2.3 | -0.1 | -2 |
| 2017 | 0.3 | 0.3 | 0.5 | 0.6 | 0.2 | 0.7 | 0.8 | -0.3 | 0.8 | 1 | 0.2 | 0.5 | 5.7 |
| 2018 | 1.2 | 0.3 | 0.9 | 0.5 | 0.3 | 0.5 | -0.1 | -0.1 | 0 | 0.9 | -0.3 | 0.5 | 4.7 |
| 2019 | 0.2 | 0.1 | 0.6 | 0.4 | -0.5 | -0.1 | 0.5 | -0.1 | 0.5 | 0.5 | -0.7 | 0.5 | 1.8 |
| 2020 | -0.1 | -4.4 | -9.6 | -1.8 | 2.4 | 0.4 | 0 | 0.5 | 1 | -0.3 | 0.6 | 1.4 | -10 |
| 2021 | -0.3 | 0.9 | 0.8 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.4 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
